| Metric | SPY | BLNDX |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 96.0% |
| Cumulative Return | 86.58% | 55.31% |
| CAGR﹪ | 13.36% | 9.26% |
| Sharpe | 0.59 | 0.5 |
| Prob. Sharpe Ratio | 90.85% | 86.29% |
| Smart Sharpe | 0.58 | 0.49 |
| Sortino | 0.86 | 0.67 |
| Smart Sortino | 0.83 | 0.66 |
| Sortino/√2 | 0.61 | 0.48 |
| Smart Sortino/√2 | 0.59 | 0.47 |
| Omega | 1.16 | 1.15 |
| Max Drawdown | -24.5% | -17.66% |
| Max DD Date | 2022-10-12 | 2025-04-08 |
| Max DD Period Start | 2022-01-04 | 2024-07-17 |
| Max DD Period End | 2023-12-12 | 2025-12-24 |
| Longest DD Days | 708 | 526 |
| Volatility (ann.) | 17.2% | 11.52% |
| R^2 | 0.36 | 0.36 |
| Information Ratio | -0.02 | -0.02 |
| Calmar | 0.55 | 0.52 |
| Skew | 0.32 | -0.82 |
| Kurtosis | 8.95 | 4.43 |
| Ulcer Performance Index | 10.24 | 10.75 |
| Risk-Adjusted Return | 13.36% | 9.64% |
| Risk-Return Ratio | 0.05 | 0.05 |
| Avg. Return | 0.05% | 0.04% |
| Avg. Win | 0.83% | 0.61% |
| Avg. Loss | -0.89% | -0.65% |
| Win/Loss Ratio | 0.93 | 0.94 |
| Profit Ratio | 0.83 | 0.65 |
| Expected Daily | 0.05% | 0.04% |
| Expected Monthly | 1.03% | 0.72% |
| Expected Yearly | 10.95% | 7.61% |
| Kelly Criterion | 4.69% | 6.98% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.73% | -1.16% |
| Expected Shortfall (cVaR) | -2.58% | -1.78% |
| Max Consecutive Wins | 10 | 10 |
| Max Consecutive Losses | 6 | 7 |
| Gain/Pain Ratio | 0.16 | 0.15 |
| Gain/Pain (1M) | 0.87 | 1.11 |
| Payoff Ratio | 0.93 | 0.94 |
| Profit Factor | 1.16 | 1.15 |
| Common Sense Ratio | 1.17 | 1.12 |
| CPC Index | 0.58 | 0.59 |
| Tail Ratio | 1.01 | 0.98 |
| Outlier Win Ratio | 3.41 | 3.26 |
| Outlier Loss Ratio | 3.77 | 3.24 |
| MTD | 1.08% | 1.63% |
| 3M | 3.82% | 4.79% |
| 6M | 19.85% | 10.27% |
| YTD | 14.3% | 18.32% |
| 1Y | 17.78% | 24.24% |
| 3Y (ann.) | 24.86% | 12.2% |
| 5Y (ann.) | 13.06% | 8.66% |
| 10Y (ann.) | 13.36% | 9.26% |
| All-time (ann.) | 13.36% | 9.26% |
| Best Day | 10.5% | 3.48% |
| Worst Day | -5.85% | -4.99% |
| Best Month | 10.51% | 7.49% |
| Worst Month | -9.24% | -5.31% |
| Best Year | 26.18% | 18.32% |
| Worst Year | -18.18% | 1.58% |
| Avg. Drawdown | -1.89% | -1.94% |
| Avg. Drawdown Days | 20 | 34 |
| Recovery Factor | 2.85 | 2.68 |
| Ulcer Index | 0.08 | 0.05 |
| Serenity Index | 0.47 | 0.53 |
| Avg. Up Month | 3.91% | 2.35% |
| Avg. Down Month | -3.47% | -2.42% |
| Win Days | 54.04% | 54.91% |
| Win Month | 63.93% | 63.93% |
| Win Quarter | 66.67% | 71.43% |
| Win Year | 83.33% | 100.0% |
| Beta | - | 0.4 |
| Alpha | - | 0.04 |
| Correlation | - | 60.08% |
| Treynor Ratio | - | 137.45% |
| Year | SPY | BLNDX | Multiplier | Won |
|---|---|---|---|---|
| 2021 | 7.55 | 1.58 | 0.21 | - |
| 2022 | -18.18 | 3.71 | -0.20 | + |
| 2023 | 26.18 | 5.76 | 0.22 | - |
| 2024 | 24.89 | 13.15 | 0.53 | - |
| 2025 | 17.72 | 4.12 | 0.23 | - |
| 2026 | 14.30 | 18.32 | 1.28 | + |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2024-07-17 | 2025-12-24 | -17.66 | 526 |
| 2021-11-26 | 2022-03-03 | -8.49 | 98 |
| 2022-06-09 | 2023-09-13 | -7.55 | 462 |
| 2026-05-19 | 2026-09-22 | -7.24 | 127 |
| 2026-01-30 | 2026-02-24 | -4.43 | 26 |
| 2022-04-20 | 2022-06-03 | -4.28 | 45 |
| 2022-03-09 | 2022-03-18 | -3.71 | 10 |
| 2023-09-15 | 2024-01-18 | -3.50 | 126 |
| 2024-03-28 | 2024-05-14 | -3.39 | 48 |
| 2026-03-18 | 2026-04-02 | -3.28 | 16 |